An Information-Based Approach to the Change-Point Problem of the Noncentral SkewtDistribution with Applications to Stock Market Data

DOI10.1080/07474946.2014.961842zbMath1305.62296OpenAlexW2013750849MaRDI QIDQ2934408

Wei Ning, Arjun K. Gupta, Abeer Hasan

Publication date: 12 December 2014

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2014.961842

zbMATH Keywords

maximum likelihood estimatechange-pointSchwarz information criterionskew \(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Likelihood ratio test change-point detection in the skew slash distribution ⋮ Modified information criterion for detecting changes in skew slash distribution ⋮ Confidence distributions for skew normal change-point model based on modified information criterion

Cites Work

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• Change Point Analysis for Generalized Lambda Distribution
• The multivariate skew-normal distribution
• Change Point Detection in The Skew-Normal Model Parameters
• Matrix variate extended skew normal distributions
• Testing for a change point in a sequence of exponential random variables with repeated values

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